TY - UNPB
T1 - Do you know your biases? A Monte Carlo analysis of dynamic panel data estimators
AU - Kufenko, Vadim
AU - Prettner, Klaus
PY - 2021/9/1
Y1 - 2021/9/1
N2 - We assess the performance of widely-used dynamic panel data estimators based on Monte Carlo simulations of a dynamic economic process. Knowing the true underlying coefficient of the autoregressive term, we show that most estimators exhibit a severe bias even in the absence of measurement errors, omitted variables, and endogeneity issues. We analyze how the bias changes with the sample size, the autoregressive coefficient, and the estimation options. Based on our insights, we recommend i) carefully choosing appropriate estimators given the underlying structure of the data and ii) scrutinizing the estimation results based on the insights of simulation studies.
AB - We assess the performance of widely-used dynamic panel data estimators based on Monte Carlo simulations of a dynamic economic process. Knowing the true underlying coefficient of the autoregressive term, we show that most estimators exhibit a severe bias even in the absence of measurement errors, omitted variables, and endogeneity issues. We analyze how the bias changes with the sample size, the autoregressive coefficient, and the estimation options. Based on our insights, we recommend i) carefully choosing appropriate estimators given the underlying structure of the data and ii) scrutinizing the estimation results based on the insights of simulation studies.
U2 - 10.57938/20d089d0-684f-41d0-b677-b046f63c8fe6
DO - 10.57938/20d089d0-684f-41d0-b677-b046f63c8fe6
M3 - WU Working Paper
T3 - Department of Economics Working Paper Series
BT - Do you know your biases? A Monte Carlo analysis of dynamic panel data estimators
PB - WU Vienna University of Economics and Business
CY - Vienna
ER -